Year of Graduation
Risk and Return Evaluation of Collective Investment on the Russian Stock Market
Financial Markets and Financial Institutions
The research represents the analysis of the most commonly used methods to evaluate Value at Risk: delta-normal, historical method, simulation method, Monte Carlo method. In addition, the paper assesses the effectiveness of these methods in terms of their applicability to the mutual funds in Russia. Monte Carlo method has shown the best results. Moreover, the paper examines (the) impact of fundamental and non-fundamental risk factors on excess return on the mutual funds of the Russian stock market. The examination is based on classical models: CAPM, Tree-factor Fama-French model, Four-factor Carhart model. Taking into consideration the type if funds and macroeconomic conjecture, the author specified the models and identified the impact of such extra factors as the size of a fund, the specialization of fund and the reliability rating of a management company.